Search Results - subject:"monte carlo methods"

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Weak approximation for a black-scholes type regime switching model

Kohatsu-Higa, Arturo; Tanaka, Akihiro - In: Applied mathematical finance 31 (2024) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10015194417

On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux

Ewald, Christian; Nolan, Charles - In: Journal of economic dynamics & control 162 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015050299

Endogenous bad outputs and technical inefficiency in U.S. electric utilities

Tsionas, Efthymios G.; Kumbhakar, Subal - In: The energy journal 45 (2024) 1, pp. 149-171

Persistent link: https://www.econbiz.de/10014582786

Combining investment and tax strategies for optimizing lifetime solvency under uncertain returns and mortality

Das, Sanjiv R.; Ostrov, Daniel; Casanova, Aviva; … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-25

This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts...

Persistent link: https://www.econbiz.de/10013200969

Combining investment and tax strategies for optimizing lifetime solvency under uncertain returns and mortality

Das, Sanjiv R.; Ostrov, Daniel; Casanova, Aviva; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-25

Persistent link: https://www.econbiz.de/10012622415

Optimal reinsurance-investment with loss aversion under rough Heston model

Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng - In: Quantitative finance 23 (2023) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10013490957

Estimating HANK for central banks

Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023

Persistent link: https://www.econbiz.de/10014334967

Projecting the socio-economic impact of a big science center : the world’s largest particle accelerator at CERN

Bastianin, Andrea; Del Bo, Chiara; Florio, Massimo; … - In: Applied economics 55 (2023) 49, pp. 5768-5789

Persistent link: https://www.econbiz.de/10014335788

Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic

Nehrebecka, Natalia - In: Economic change & restructuring 56 (2023) 1, pp. 129-158

Persistent link: https://www.econbiz.de/10013536351

Active, or passive? Revisiting the role of fiscal policy in the great inflation

Ettmeier, Stephanie; Kriwoluzky, Alexander - 2020

We reexamine whether pre-Volcker U.S. fiscal policy was active or passive. To do so, we estimate a DSGE model with monetary and fiscal policy interactions employing a sequential Monte Carlo algorithm (SMC) for posterior evaluation. Unlike existing studies, we do not have to treat each policy...

Persistent link: https://www.econbiz.de/10012226741